# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.

from AlgorithmImports import *
from OptionPriceModelForOptionStylesBaseRegressionAlgorithm import OptionPriceModelForOptionStylesBaseRegressionAlgorithm

### <summary>
### Regression algorithm exercising an equity covered European style option, using an option price model
### that supports European style options and asserting that the option price model is used.
### </summary>
class OptionPriceModelForSupportedEuropeanOptionRegressionAlgorithm(OptionPriceModelForOptionStylesBaseRegressionAlgorithm):
    def Initialize(self):
        self.SetStartDate(2021, 1, 14)
        self.SetEndDate(2021, 1, 14)

        option = self.AddIndexOption("SPX", Resolution.Hour)
        # BlackScholes model supports European style options
        option.PriceModel = OptionPriceModels.BlackScholes()

        self.SetWarmup(7, Resolution.Daily)

        self.Init(option, optionStyleIsSupported=True)
